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Preprint Sep 2026

Data-Driven Brownian Reflection Control

We study a data-driven reflection control problem for a Brownian model with unknown drift and volatility. We first propose a learn-then-optimize (LTO) algorithm: it estimates the policy-relevant parameter during exploration, plugs the estimate into the optimality equation, and exploits the resulting policy---achieving...

Guo-Dong Pang, Da-Cheng Yao, Hao Yin · 0 citations

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